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Valeri Voev

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Personal Details

First Name: Valeri
Middle Name:
Last Name: Voev
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RePEc Short-ID: pvo59

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Homepage: http://www.econ.au.dk/research/research-centres/creates/people/research-fellows/valeri-voev/
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Affiliation

(in no particular order)

Works


Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Roxana Halbleib & Valeri Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers 2011-03, School of Economics and Management, University of Aarhus.
  2. Roxana Halbleib & Valerie Voev, 2010. "Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors," Working Papers ECARES ECARES 2010-041, ULB -- Universite Libre de Bruxelles.
  3. Rasmus Tangsgaard Varneskov & Valeri Voev, 2010. "The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts," CREATES Research Papers 2010-45, School of Economics and Management, University of Aarhus.
  4. Peter R. Hansen & Asger Lunde & Valeri Voev, 2010. "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers 2010-74, School of Economics and Management, University of Aarhus.
  5. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, School of Economics and Management, University of Aarhus.
  6. Ingmar Nolte & Valeri Voev, 2009. "Least Squares Inference on Integrated Volatility and the Relationship between Efficient Prices and Noise," CREATES Research Papers 2009-16, School of Economics and Management, University of Aarhus.
  7. Roxana Chiriac & Valeri Voev, 2008. "Modelling and Forecasting Multivariate Realized Volatility," CREATES Research Papers 2008-39, School of Economics and Management, University of Aarhus.
  8. Valeri Voev, 2007. "Dynamic Modeling of Large Dimensional Covariance Matrices," CoFE Discussion Paper 07-01, Center of Finance and Econometrics, University of Konstanz.
  9. Ingmar Nolte & Valeri Voev, 2007. "Estimating High-Frequency Based (Co-) Variances: A Unified Approach," CoFE Discussion Paper 07-07, Center of Finance and Econometrics, University of Konstanz.
  10. Ingmar Nolte & Valeri Voev, 2007. "Panel Intensity Models with Latent Factors: An Application to the Trading Dynamics on the Foreign Exchange Market¤," CoFE Discussion Paper 07-02, Center of Finance and Econometrics, University of Konstanz.
  11. Valeri Voev, 2006. "A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreadson the NYSE," CoFE Discussion Paper 06-03, Center of Finance and Econometrics, University of Konstanz.

Articles

  1. Roxana Halbleib & Valeri Voev, 2011. "Forecasting Multivariate Volatility using the VARFIMA Model on Realized Covariance Cholesky Factors," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 231(1), pages 134-152, February.
  2. Valeri Voev, 2011. "Trading Dynamics in the Foreign Exchange Market: A Latent Factor Panel Intensity Approach," Journal of Financial Econometrics, Oxford University Press, vol. 9(4), pages 685-716.
  3. Roxana Chiriac & Valeri Voev, 2011. "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 922-947, 09.
  4. Valeri Voev & Asger Lunde, 2007. "Integrated Covariance Estimation using High-frequency Data in the Presence of Noise," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 68-104.
    RePEc:oup:jfinec:v:9:y::i:4:p:685-716 is not listed on IDEAS

NEP Fields

15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2008-06-27
  2. NEP-DCM: Discrete Choice Models (1) 2007-04-21
  3. NEP-ECM: Econometrics (12) 2007-04-28 2007-04-28 2007-08-08 2008-06-27 2008-09-05 2008-10-21 2009-05-02 2009-12-05 2010-02-05 2010-09-03 2011-01-30 2011-01-30 Author is listed
  4. NEP-ETS: Econometric Time Series (11) 2007-04-28 2007-04-28 2007-08-08 2008-06-27 2008-09-05 2008-10-21 2010-02-05 2010-09-03 2010-12-11 2011-01-30 2011-01-30 Author is listed
  5. NEP-FMK: Financial Markets (3) 2008-09-05 2009-05-02 2010-12-11
  6. NEP-FOR: Forecasting (7) 2007-04-28 2008-09-05 2008-10-21 2009-12-05 2010-09-03 2011-01-30 2011-01-30 Author is listed
  7. NEP-MST: Market Microstructure (8) 2007-04-21 2007-04-28 2007-08-08 2008-06-27 2009-05-02 2010-09-03 2011-01-30 2011-01-30 Author is listed
  8. NEP-ORE: Operations Research (5) 2008-09-05 2008-10-21 2009-12-05 2010-02-05 2011-01-30 Author is listed
  9. NEP-RMG: Risk Management (1) 2011-01-30
  10. NEP-UPT: Utility Models & Prospect Theory (2) 2008-09-05 2008-10-21

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